Garlappi is at the Sauder School of Business, University of British Columbia. Yan is at the Moore School of Business, University of South Carolina and Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University. We acknowledge helpful comments from Aydoğan Alti, Kerry Back, Jan Bena, Luca Benzoni, John Campbell, Murray Carlson, Allan Eberhart, Mike Gallmeyer, João Gomes (NBER discussant), Shingo Goto, Jean Helwege, Jennifer Huang, Timothy Johnson, Hong Liu (CICF discussant), Dmitry Livdan, Alexander Philipov (FEA discussant), Eric Powers, Jacob Sagi, Mikhail Simutin, Paul Tetlock, Sheridan Titman, Stathis Tompaidis, Sergey Tsyplakov, Raman Uppal, Lu Zhang (AFA discussant); participants at the 2007 NBER Asset Pricing Program Meeting, the 2007 Financial Economics and Accounting Conference, the 2008 American Finance Association Annual Meeting, the 2008 China International Conference in Finance, the Fall 2009 JOIM Conference Series; and participants of seminars at Baruch College, Brigham Young University, Chinese University of Hong Kong, City University of Hong Kong, Hong Kong University of Science and Technology, McGill University, National University of Singapore, PanAgora Asset Management, Rutgers University, Singapore Management University, State Street Global Advisors, Temple University, Texas A & M University, Texas Tech University, the University of British Columbia, the University of Calgary, the University of Hong Kong, the University of Illinois at Urbana-Champaign, the University of Lausanne, the University of North Carolina at Charlotte, the University of South Carolina, the University of Texas at Austin, the University of Toronto, and Università Bocconi. We thank Moody's KMV for providing us with the data on expected default frequency™ (EDF™) and Shisheng Qu for answering questions about the data. We are grateful to Cam Harvey (the Editor), an anonymous associate editor, and two anonymous referees for constructive suggestions.
Financial Distress and the Cross-section of Equity Returns
Version of Record online: 23 MAY 2011
© 2011 the American Finance Association
The Journal of Finance
Volume 66, Issue 3, pages 789–822, June 2011
How to Cite
GARLAPPI, L. and YAN, H. (2011), Financial Distress and the Cross-section of Equity Returns. The Journal of Finance, 66: 789–822. doi: 10.1111/j.1540-6261.2011.01652.x
- Issue online: 23 MAY 2011
- Version of Record online: 23 MAY 2011
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